Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 16 (1D) Oct 17 (2D) Oct 20 (5D) Oct 21 (6D) Oct 22 (7D) Oct 23 (8D) Oct 24 (9D) Oct 27 (12D) Oct 28 (13D) Oct 29 (14D) Oct 31 (16D) Nov 07 (23D) Nov 14 (30D) Nov 21 (37D) Nov 28 (44D) Dec 05 (51D) Dec 12 (58D) Dec 19 (65D) Dec 26 (72D)
lower 657.984 655.007 649.101 647.568 646.157 644.845 643.612 640.276 639.26 638.282 636.425 630.706 625.81 621.458 617.503 613.851 610.442 607.233 604.194
upper 672.356 675.333 681.239 682.772 684.183 685.495 686.728 690.064 691.08 692.058 693.915 699.634 704.53 708.882 712.837 716.489 719.898 723.107 726.146
expected move 7.186 10.163 16.069 17.602 19.013 20.325 21.558 24.894 25.91 26.888 28.745 34.464 39.36 43.712 47.667 51.319 54.728 57.937 60.976
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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